risk. They are of increasing importance in financial accounting, including the valuation of goodwill and other intangibles … the firm, this paper proposes an alternative accounting based approach: accounting based risk measurement (ABRM …). Alternatives to beta are computed from planning and budgeting metrics at firm level to produce consistent risk estimates factoring …

A practically oriented, top-down approach to assessing the quality of EL by backtesting with a properly defined risk … measure is introduced. In a first step, the concept of risk expenses ("Cost of Risk") has to be extended beyond the classical … provisioning view, toward a more adequate capital consumption approach ("Impact of Risk"). On this basis, the difference between …

The dependency structure of credit risk parameters is a key driver for capital consumption and receives regulatory and … estimate of risk expenses, however, is barely covered. So far there are no established backtesting procedures for EL that … quantify its impact with regards to pricing or risk-adjusted profitability measures. In this paper, a practically oriented, top …

-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit risk disclosed by banks. It uses cross … for loan losses than analyst provision forecasts and is incrementally useful beyond other credit risk metrics in …

different possibilities of preparing a sensitivity analysis, such as value at risk are illustrated and their suitability for … ; Internationale Rechnungslegung ; Marktpreisrisiken ; Finanzrisiken ; Value at Risk ; Sensitivitätsanalyse ; Publizitätsverhalten … ; Risikomanagement ; Monte-Carlo Simulation ; Kapitalmarkt ; Risk reporting ; Market Risk ;Sensitivity Analysis ; Value at Risk …

(ExpectedRCL) is a linear combination of various non-discretionary credit risk-related measures disclosed by banks. ExpectedRCL …

risk disclosed by banks. It uses cross-sectional analyses to obtain coefficients needed to estimate each period's measure … analyst provision forecasts and it is incrementally useful beyond other credit risk metrics in predicting bank failure up to …

to document their risk assessments. This study examines a potentially unintended consequence of such a requirement on … auditors who have pressure to reach lenient, client-preferred risk assessments. Because documentation requirements potentially … adding documentation requirements leads auditors who assess risk in qualitative (rather than quantified) terms to engage more …

Following the Basel Committee's advocacy of value-at-risk (VaR) disclosure in external reports of financial … of the most important disclosure approaches for market-risk quantitative information in 1997. I empirically examine both … shareholder protection, a larger and more independent board, the presence of a separate risk committee under the board of …

We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative … greater extent after SFAS 133. Our results suggest that, contrary to critics' claims, SFAS 133 has increased the risk …